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Social and Behavioral Sciences Commons™

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2000

Series

Yale University

Articles 31 - 48 of 48

Full-Text Articles in Social and Behavioral Sciences

Social Security Investment In Equities In An Economy With Short-Term Production And Land, Peter A. Diamond, John Geanakoplos Jun 2000

Social Security Investment In Equities In An Economy With Short-Term Production And Land, Peter A. Diamond, John Geanakoplos

Cowles Foundation Discussion Papers

This paper explores the general equilibrium impact of social security portfolio diversification into private securities, either through the trust fund or via private accounts. The analysis depends critically on heterogeneity in saving, in production, in assets, and in taxes. Under fairly general assumptions we show that limited diversification increases a neutral social welfare function, increases interest rates, reduces the expected return on short-term equity (and thus the equity premium), decreases safe investment and increases risky investment. However, the effect on aggregate investment, long-term capital values, and the utility of young savers hinges on delicate assumptions about technology. Aggregate investment and …

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A Bias-Reduced Log-Periodogram Regression Estimator For The Long-Memory Parameter, Donald W.K. Andrews, Patrik Guggenberger Jun 2000

A Bias-Reduced Log-Periodogram Regression Estimator For The Long-Memory Parameter, Donald W.K. Andrews, Patrik Guggenberger

Cowles Foundation Discussion Papers

The widely used log-periodogram regression estimator of the long-memory parameter d proposed by Geweke and Porter-Hudak (1983) (GPH) has been criticized because of its finite-sample bias, see Agiakloglou, Newbold, and Wohar (1993). In this paper, we propose a simple bias-reduced log-periodogram regression estimator, ^d r , that eliminates the first- and higher-order biases of the GPH estimator. The bias-reduced estimator is the same as the GPH estimator except that one includes frequencies to the power 2 k for k = 1,…, r , for some positive integer r, as additional regressors in the pseudo-regression model that yields the GPH estimator. …

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Cartoons Of The Variation Of Financial Prices And Of Brownian Motions In Multifractal Time, Benoit Mandelbrot May 2000

Cartoons Of The Variation Of Financial Prices And Of Brownian Motions In Multifractal Time, Benoit Mandelbrot

Cowles Foundation Discussion Papers

This article describes a versatile family of functions increasingly roughened by successive interpolations. They provide models of the variation of financial prices. More importantly, they are helpful “cartoons” of Brownian motions in multifractal time, BMMT, which are better models described in the next article. Ordinary Brownian motion and two models the author proposed in the 1960s correspond to special cartoons. More general cartoons are richer in structure but (by choice) remain parsimonious and easily computed. Their outputs reproduce the main features of financial prices: continually varying volatility, discontinuity or concentration, and other events far outside the mildly behaving Brownian “norm.”

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Inside And Outside Money, Gains To Trade, And Is-Lm, Pradeep Dubey, John Geanakoplos May 2000

Inside And Outside Money, Gains To Trade, And Is-Lm, Pradeep Dubey, John Geanakoplos

Cowles Foundation Discussion Papers

We build a one-period general equilibrium model with money. Equilibrium exists, and fiat money has positive value, as long as the ratio of outside money to inside money is less than the gains to trade available at autarky. We show that the nominal effects of government fiscal and monetary policy can be completely described by a diagram identical in form to the IS-LM curves introduced by Hicks to describe Keynes’ general theory. IS-LM analysis is thus not incompatible with full market clearing, multiple commodities, and heterogeneous households. We show that as the government deficit approaches a finite threshold, hyperinflation sets …

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Optimal Scrutiny In Multi-Period Promotion Tournaments, Pradeep Dubey, Ori Haimanko May 2000

Optimal Scrutiny In Multi-Period Promotion Tournaments, Pradeep Dubey, Ori Haimanko

Cowles Foundation Discussion Papers

Consider a principal who hires heterogeneous agents to work for him over T periods, without prior knowledge of their respective skills, and intends to promote one of them at the end. In each period the agents choose effort levels and produce random outputs, independently of each other, and are fully informed of the past history of outputs The principal’s major objective is to maximize the total expected output, but he may also put some weight on detecting the higher-skilled agent for promotion. To this end, he randomly samples n out of the T periods and awards the promotion to the …

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Competitive Prizes: When Less Scrutiny Induces More Effort, Pradeep Dubey, Chien-Wei Wu May 2000

Competitive Prizes: When Less Scrutiny Induces More Effort, Pradeep Dubey, Chien-Wei Wu

Cowles Foundation Discussion Papers

We consider a principal who is keen to induce his agents to work at their maximal effort levels. To this end, he samples n days at random out of the T days on which they work, and awards a prize of B dollars to the most productive agent. The principal’s policy ( B,n ) induces a strategic game Γ( B,n ) between the agents. We show that to implement maximal effort levels weakly (or, strongly) as a strategic equilibrium (or, as dominant strategies) in Γ( B,n ), at the least cost B to himself, the principal must choose a small …

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Inside And Outside Money, Gains To Trade, And Is-Lm, Pradeep Dubey, John Geanakoplos May 2000

Inside And Outside Money, Gains To Trade, And Is-Lm, Pradeep Dubey, John Geanakoplos

Cowles Foundation Discussion Papers

We build a one-period general equilibrium model with money. Equilibrium exists, and fiat money has positive value, as long as the ratio of outside money to inside money is less than the gains to trade available at autarky. We show that the nominal effects of government fiscal and monetary policy can be completely described by a diagram identical in form to the IS-LM curves introduced by Hicks to describe Keynes’ general theory. IS-LM analysis is thus not incompatible with full market clearing, multiple commodities, and heterogeneous households. We show that as the government deficit approaches a finite threshold, hyperinflation sets …

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Estimated, Calibrated, And Optimal Interest Rate Rules, Ray C. Fair May 2000

Estimated, Calibrated, And Optimal Interest Rate Rules, Ray C. Fair

Cowles Foundation Discussion Papers

Estimated, calibrated, and optimal interest rate rules are examined for their ability to dampen economic fluctuations caused by random shocks. A tax rate rule is also considered. The results show that the estimated interest rate rule used in the paper is stable for the period beginning in 1954 except for the early Volcker period, although more observations, especially high inflation ones, are needed before much confidence can be placed on the results. The models used for the stabilization results are large scale structural macroeconometric models, and some of the results differ from those based on small models. For example, rules …

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Nota Bene; Volume Xiv, Number Ii, Yale University Library Apr 2000

Nota Bene; Volume Xiv, Number Ii, Yale University Library

Nota Bene

Nota Bene is published during the academic year to acquaint the Yale community and others with the resources of the Yale Library.

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The Yale Political Quarterly 2000 April, The Politic, Inc. Apr 2000

The Yale Political Quarterly 2000 April, The Politic, Inc.

The Politic

No abstract provided.

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The Theory Of Money, Martin Shubik Apr 2000

The Theory Of Money, Martin Shubik

Cowles Foundation Discussion Papers

Fiat money is a creation of both the state and society. Its value is supported by expectations which are conditioned by the dynamics of trust in government, the socio-economic structure and by outside events such as wars, plagues or political unrest. The micro-management of a dynamic economy is not far removed in difficulty from the micro-management of the weather. However, money and the financial institutions and instruments of a modern economy provide the means to influence expectations and bound behavior. Paper money emerges as a virtual commodity. The dynamics of the economy permits it to serve as an imaginary gold. …

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Asymptotics In Minimum Distance From Independence Estimation, Donald J. Brown, Marten H. Wegkamp Apr 2000

Asymptotics In Minimum Distance From Independence Estimation, Donald J. Brown, Marten H. Wegkamp

Cowles Foundation Discussion Papers

In this paper we introduce a family of minimum distance from independence estimators, suggested by Manski’s minimum mean square from independence estimator. We establish strong consistency, asymptotic normality and consistency of resampling estimates of the distribution and variance of these estimators. For Manski’s estimator we derive both strong consistency and asymptotic normality.

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Bootstrap Unit Root Tests In Panels With Cross-Sectional Dependency, Yoosoon Chang Mar 2000

Bootstrap Unit Root Tests In Panels With Cross-Sectional Dependency, Yoosoon Chang

Cowles Foundation Discussion Papers

We apply bootstrap methodology to unit root tests for dependent panels with N cross-sectional units and T time series observations. More specifically, we let each panel be driven by a general linear process which may be different across cross-sectional units, and approximate it by a finite order autoregressive integrated process of order increasing with T . As we allow the dependency among the innovations generating the individual panels, we construct our unit root tests from the estimation of the system of the entire N panels. The limit distributions of the tests are derived by passing T to infinity, with N …

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Confidence Intervals, Donald W.K. Andrews, Moshe Buchinsky Feb 2000

Confidence Intervals, Donald W.K. Andrews, Moshe Buchinsky

Cowles Foundation Discussion Papers

This paper considers the problem of choosing the number bootstrap repetitions B to use with the BC a bootstrap confidence intervals introduced by Efron (1987). Because the simulated random variables are ancillary, we seek a choice of B that yields a confidence interval that is close to the ideal bootstrap confidence interval for which B = ∞. We specifiy a three-step method of choosing B that ensures that the lower and upper lengths of the confidence interval deviate from those of the ideal bootstrap confidence interval by at most a small percentage with high probability.

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Nota Bene; Volume Xiv, Number I, Yale University Library Jan 2000

Nota Bene; Volume Xiv, Number I, Yale University Library

Nota Bene

Nota Bene is published during the academic year to acquaint the Yale community and others with the resources of the Yale Library.

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Default In A General Equilibrium Model With Incomplete Markets, Pradeep Dubey, John Geanakoplos, Martin Shubik Jan 2000

Default In A General Equilibrium Model With Incomplete Markets, Pradeep Dubey, John Geanakoplos, Martin Shubik

Cowles Foundation Discussion Papers

We extend the standard model of general equilibrium with incomplete markets (GEI) to allow for default. The equilibrating variables include aggregate default levels, as well as prices of assets and commodities. Default can be either strategic, or due to ill-fortune. It can be caused by events directly affecting the borrower, or indirectly as part of a chain reaction in which a borrower cannot repay because he himself has not been repaid. Each asset is defined by its promises A , the penalties lambda for default, and the limitations Q on its sale. The model is thus named GE ( A …

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Information Acquisition And Efficient Mechanism Design, Dirk Bergemann, Juuso Välimäki Jan 2000

Information Acquisition And Efficient Mechanism Design, Dirk Bergemann, Juuso Välimäki

Cowles Foundation Discussion Papers

We consider a general mechanism design setting where each agent can acquire (covert) information before participating in the mechanism. The central question is whether a mechanism exists which provides the efficient incentives for information acquisition ex-ante and implements the efficient allocation conditional on the private information ex-post. It is shown that in every private value environment the Vickrey-Groves-Clark mechanism guarantees both ex-ante as well as ex-post efficiency. In contract, with common values, ex-ante and ex-post efficiency cannot be reconciled in general. Sufficient conditions in terms of sub- and supermodularity are provided when (all) ex-post efficient mechanisms lead to private under- …

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Bargaining And Markets: Complexity And The Walrasian Outcome, Hamid Sabourian Jan 2000

Bargaining And Markets: Complexity And The Walrasian Outcome, Hamid Sabourian

Cowles Foundation Discussion Papers

Rubinstein and Wolinsky (1990b) consider a simple decentralized market in which agents either meet randomly or choose their partners volunatarily and bargain over the terms on which they are willing to trade. Intuition suggests that if there are no transaction costs, the outcome of this matching and bargaining game should be the unique competitive equilibrium. This does not happen. In fact, Rubinstein and Wolinsky show that any price can be sustained as a sequential equilibrium of this game. In this paper, I consider Rubinstein and Wolinsky’s model and show that if the complexity costs of implementing strategies enter players’ preferences …

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